rules in replying with execution reports

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Imported from previous forum

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Are there any “rule” in sequence or presence of execution report? e.g. is execution report-new should be sent to buy side in all case, even if the order can be immediately filled? or, if the replace can be immediately done, execution report-pending replace won’t be necessary.

If Sell side can both partially fill and replace an order at the same time, is it necessary to reply with 2 individual execution report (one partially fill and one replace)?

Many thanks! Much appreciate for your quick response!!!

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Mike,

this issue is of great interest to exchanges and other market places seeking maximum performance. Reduction of the number of messages required to convey information is part of this. The Global Exchanges and Markets Committee (GEXMC) has been dealing with this topic and made some recommendations which have also led to some enhancements coming with FIX 5.0 SP1 (first draft just released for review). Please have a look at the “Deliverables” section of the GEXMC, specifically the “EEWG Phase 1 Gap Analysis”, chapter 6.3. We also used the term “message bundling” for the situation you describe below.

It includes another case, i.e. multiple fills in a single match operation where FIX 5.0 SP1 will optionally provide a new in the ExecutionReport to enable a single message to convey the final result (e.g. remaining qty) as well as the individual fills of such a match immediately. This is common practice for many exchanges and will harmonize previous differences in transaction models between FIX and such market places.

Please be aware that GEXMC recommends this as an alternative to the existing message flows, NOT as a change, for environments where the verbosity of communication is an issue in terms of performance.

Thank you,
Hanno.

Are there any “rule” in sequence or presence of execution report? e.g.
is execution report-new should be sent to buy side in all case, even if
the order can be immediately filled? or, if the replace can be
immediately done, execution report-pending replace won’t be necessary.

If Sell side can both partially fill and replace an order at the same
time, is it necessary to reply with 2 individual execution report (one
partially fill and one replace)?

Many thanks! Much appreciate for your quick response!!!